Personally I am a fan of the Marx Brothers, the Stooges, and Bud and Lou. I own the silver screen collection, and personally I think the movies are great regradless of their 'restored' appearance. I have yet to find the rest of the films with the three (Groucho, Harpo and Chico) in them anywhere.
Personally I find, like it was said above, that the Silver Screen collection is the preffered way to go, that way you get All the brothers, All at once.
And like Falsealarms said, I too prefer a DVD over downloading a film, because when your computer or hardrive you downloaded the movie to, goes out the window or is damaged or just dies, well... you gotta download again. And it can get kinda useless over time.
Besides, I love shopping!